Correlation Between Sompo Holdings and Allstate
Can any of the company-specific risk be diversified away by investing in both Sompo Holdings and Allstate at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Sompo Holdings and Allstate into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sompo Holdings ADR and The Allstate, you can compare the effects of market volatilities on Sompo Holdings and Allstate and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Sompo Holdings with a short position of Allstate. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sompo Holdings and Allstate.
Diversification Opportunities for Sompo Holdings and Allstate
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Sompo and Allstate is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Sompo Holdings ADR and The Allstate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Allstate and Sompo Holdings is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Sompo Holdings ADR are associated (or correlated) with Allstate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Allstate has no effect on the direction of Sompo Holdings i.e., Sompo Holdings and Allstate go up and down completely randomly.
Pair Corralation between Sompo Holdings and Allstate
Assuming the 90 days horizon Sompo Holdings ADR is expected to generate 6.17 times more return on investment than Allstate. However, Sompo Holdings is 6.17 times more volatile than The Allstate. It trades about 0.14 of its potential returns per unit of risk. The Allstate is currently generating about 0.16 per unit of risk. If you would invest 1,377 in Sompo Holdings ADR on November 28, 2024 and sell it today you would earn a total of 47.00 from holding Sompo Holdings ADR or generate 3.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sompo Holdings ADR vs. The Allstate
Performance |
| Timeline |
| Sompo Holdings ADR |
| Allstate |
Sompo Holdings and Allstate Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sompo Holdings and Allstate
The main advantage of trading using opposite Sompo Holdings and Allstate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sompo Holdings position performs unexpectedly, Allstate can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Allstate will offset losses from the drop in Allstate's long position.| Sompo Holdings vs. MSAD Insurance Group | Sompo Holdings vs. The Allstate | Sompo Holdings vs. Horace Mann Educators | Sompo Holdings vs. Selective Insurance Group |
| Allstate vs. Aspen Insurance Holdings | Allstate vs. Selective Insurance Group | Allstate vs. Aspen Insurance Holdings | Allstate vs. AmTrust Financial Services |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the CEOs Directory module to screen CEOs from public companies around the world.
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